March 1st, 2018, 10:43 am
I'm no mathematician and feel a bit of a fraud being on here. I am developing a retail trading platform for limited risk CFD which involves a combination of short term path independent and path dependent options. To price the path dependent options I have used an iterative process involving a DNT with increasingly wider barriers to calculate an historic volatility. To confirm I'm on the right track can anyone point me in the direction of any paper as such that may have used this approach?